|
JayBeams
0.1
Another project to have fun coding.
|
A message representing the top N levels of a market. More...
#include <inside_levels_update.hpp>
Classes | |
| struct | annotations_type |
| Annotations. More... | |
Public Attributes | |
| boost::endian::little_uint16_buf_t | message_type |
| The message type, each message in JayBeams receives a unique identifier. More... | |
| boost::endian::little_uint16_buf_t | message_size |
| The message size. More... | |
| boost::endian::little_uint32_buf_t | sequence_number |
| The sequence number created by the feed handler. More... | |
| market_id | market |
| The market this data refers to. More... | |
| feed_id | feed |
| The name of the feed handler used to parse and generate this data. More... | |
| timestamp | feedhandler_ts |
| The feedhandler (the software system that processes the feed and generated this message), timestamps the message just before sending it out. More... | |
| feed_id | source |
| The source of the data within that feed, some feeds arbitrage between multiple sources for the same data. More... | |
| timestamp | exchange_ts |
| Typically exchange feeds provide a timestamp (with feed-specific semantics) for the event in the exchange that generated a message. More... | |
| timestamp | feed_ts |
| Typically each feed provides a timestamp (with feed-specific semantics) for the message, this may be different from the exchange timestamp. More... | |
| security_id | security |
| The id of the security. More... | |
| boost::endian::little_uint32_buf_t | bid_qty [N] |
| The bid quantities, in shares, can be 0 if the level does not exist or is not provided by the exchange. More... | |
| boost::endian::little_uint32_buf_t | bid_px [N] |
| Bid prices, in descending order. More... | |
| boost::endian::little_uint32_buf_t | offer_qty [N] |
| Offer quantities, in ascending order of prices. More... | |
| boost::endian::little_uint32_buf_t | offer_px [N] |
| Offer prices, in ascending order. More... | |
| annotations_type | annotations |
| The annotations field. More... | |
Static Public Attributes | |
| static constexpr std::uint16_t | mtype |
A message representing the top N levels of a market.
Many applications need more information than is provided in a Level I (aka top of book) feed, but are easier to implement and support if they do not have the complexity of a Level II or Level III feed, where one needs to deal with stateful message streams.
This feed is a compromise, it is stateless, so simple to process, but it provides only the top N levels (typically 1, 4 or 8), so less information rich than a Level II or Level III feed. The assumption is that most of the information is in the top N levels anyway, so the loss is minimal.
It also tradesoff simplicity for heavier message payloads, which might be a problem in some applications.
| N | the number of levels to support. |
Definition at line 33 of file inside_levels_update.hpp.
| struct jb::mktdata::inside_levels_update::annotations_type |
Annotations.
These annotations are optional, they may not appear in a production feed to minimize message size and processing time. On a development instance these will be populated with the human readable representation of several fields. The receiver can detect whether these fields are present using the message_size field at the beginning.
Definition at line 129 of file inside_levels_update.hpp.
| Class Members | ||
|---|---|---|
| little_uint8_buf_t | feed_name[feed_id::feed_name_size] | The name of the feed. |
| little_uint8_buf_t | mic[market_id::mic_size] | The ISO-10383 market code. |
| little_uint8_buf_t | security_feed[security_id::feed_size] | The ticker as it appears in the feed. |
| little_uint8_buf_t | security_normalized[security_id::normalized_size] | The JayBeams normalized ticker for the security. |
| little_uint8_buf_t | source_name[feed_id::feed_name_size] | The name of the data source. |
| annotations_type jb::mktdata::inside_levels_update< N >::annotations |
The annotations field.
Definition at line 143 of file inside_levels_update.hpp.
| boost::endian::little_uint32_buf_t jb::mktdata::inside_levels_update< N >::bid_px[N] |
Bid prices, in descending order.
For the US markets, JayBeams uses prices in multiples of $0.0001. Since the US markets do not allow quotes in smaller intervals this is has no loss of accuracy. The maximum quote value in the US markets is $200,000, so at the prescribed granularity this fits in a 32-bit integer. TODO() - we need to define how this works in other markets, it is likely that this would require 64-bit integers for Japan for example.
Definition at line 98 of file inside_levels_update.hpp.
| boost::endian::little_uint32_buf_t jb::mktdata::inside_levels_update< N >::bid_qty[N] |
The bid quantities, in shares, can be 0 if the level does not exist or is not provided by the exchange.
The bid levels are in descending order of price.
Definition at line 84 of file inside_levels_update.hpp.
| timestamp jb::mktdata::inside_levels_update< N >::exchange_ts |
Typically exchange feeds provide a timestamp (with feed-specific semantics) for the event in the exchange that generated a message.
This field contains that timestamp.
Definition at line 71 of file inside_levels_update.hpp.
| feed_id jb::mktdata::inside_levels_update< N >::feed |
The name of the feed handler used to parse and generate this data.
Definition at line 57 of file inside_levels_update.hpp.
| timestamp jb::mktdata::inside_levels_update< N >::feed_ts |
Typically each feed provides a timestamp (with feed-specific semantics) for the message, this may be different from the exchange timestamp.
Definition at line 76 of file inside_levels_update.hpp.
| timestamp jb::mktdata::inside_levels_update< N >::feedhandler_ts |
The feedhandler (the software system that processes the feed and generated this message), timestamps the message just before sending it out.
Definition at line 62 of file inside_levels_update.hpp.
| market_id jb::mktdata::inside_levels_update< N >::market |
The market this data refers to.
Definition at line 53 of file inside_levels_update.hpp.
| boost::endian::little_uint16_buf_t jb::mktdata::inside_levels_update< N >::message_size |
The message size.
While the size of the message is implicit in the C++ structure used to represent them, we include the message size
Definition at line 47 of file inside_levels_update.hpp.
| boost::endian::little_uint16_buf_t jb::mktdata::inside_levels_update< N >::message_type |
The message type, each message in JayBeams receives a unique identifier.
Definition at line 39 of file inside_levels_update.hpp.
|
static |
Definition at line 34 of file inside_levels_update.hpp.
| boost::endian::little_uint32_buf_t jb::mktdata::inside_levels_update< N >::offer_px[N] |
Offer prices, in ascending order.
For the US markets, JayBeams uses prices in multiples of $0.0001. Since the US markets do not allow quotes in smaller intervals this is has no loss of accuracy. The maximum quote value in the US markets is $200,000, so at the prescribed granularity this fits in a 32-bit integer. TODO() - we need to define how this works in other markets, it is likely that this would require 64-bit integers for Japan for example. TODO() - likely this should be a message, like jb::mktdata::timestamp.
Definition at line 116 of file inside_levels_update.hpp.
| boost::endian::little_uint32_buf_t jb::mktdata::inside_levels_update< N >::offer_qty[N] |
Offer quantities, in ascending order of prices.
Definition at line 101 of file inside_levels_update.hpp.
| security_id jb::mktdata::inside_levels_update< N >::security |
The id of the security.
Definition at line 79 of file inside_levels_update.hpp.
| boost::endian::little_uint32_buf_t jb::mktdata::inside_levels_update< N >::sequence_number |
The sequence number created by the feed handler.
Definition at line 50 of file inside_levels_update.hpp.
| feed_id jb::mktdata::inside_levels_update< N >::source |
The source of the data within that feed, some feeds arbitrage between multiple sources for the same data.
Definition at line 66 of file inside_levels_update.hpp.
1.8.13